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Table 3 Day-of-the-week/weekend effect ARCH model

From: Impact of market anomalies on stock exchange: a comparative study of KSE and PSX

KSE

PSX

Variables

Coefficients

z-statistics

Probability

Variables

Coefficients

z-statistics

Probability

D1

8120.535

48.11137

0.0000***

D1

79.00206

426.6306

0.0000***

D2

8174.623

48.47277

0.0000***

D2

79.13822

487.0593

0.0000***

D3

8180.017

48.23690

0.0000***

D3

79.15198

370.2650

0.0000***

D4

8185.717

48.59850

0.0000***

D4

79.25223

426.2000

0.0000***

D5

8240.789

49.00542

0.0000***

D5

79.44504

401.3138

0.0000***

R2: 0.641000

R2: 0.561623

  1. *Denotes significance at 10 per cent, **significance at 5 per cent and ***significance at 1 per cent